Those headers have code that most likely require linking with other libraries, many of each are not available in source code that one can dump into an header file.

So it appears like a little convenience just for not having to deal with installing binary libraries, at the expense of wasting everyone's time.

The time I waste installing a binary library?

Once per platform for the longevity of the project.

The time I waste building software with header only library?

Every single time I do make all.